Multi-agent liquidity risk management in an interbank net settlement system

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Résumé

A net settlement system is a payment system between banks, where a large number of transactions between the banks are accumulated, usually waiting until the end of each day to be settled trough payment instruments like: wire transfers, direct debits, cheques, bank cards... These systems also provide clearing functions to reduce the number of interbank payments to achieve but are sometimes exposed to liquidity risks. Monitoring, controlling and optimizing the interbank exchanges through suitable tools is useful for the proper functioning of these systems. The goal is to add to these systems an intelligent software layer integrated with the existing system for the improvement and multilateral optimization of transactions and consequently avoid deadlock situations, bypass certain deficiencies and improve system efficiency. We model and develop by multi-agent an intelligent tracking system of the exchanged transactions through an interbank clearing system, to optimize payments settlement and minimize liquidity risks.